Probability and Mathematical Statistics: A Series of Monographs and Textbooks: Stochastic Integration focuses on the processes, methodologies, and approaches involved in stochastic integration. The publication first takes a look at the Ito formula, stochastic integral equations, and martingales and semimartingales. Discussions focus on Meyer process and decomposition theorem, inequalities, examples of stochastic differential equations, general stochastic integral equations, and applications of the Ito formula. The text then elaborates on stochastic measures, including stochastic measures and related integration and the Riesz representation theorem. The manuscript tackles the special features of infinite dimensional stochastic integration, as well as the isometric integral of a Hubert-valued square integrable martingale, cylindrical processes, and stochastic integral with respect to 2-cylindrical martingales with finite quadratic variation. The book is a valuable reference for mathematicians and researchers interested in stochastic integration.

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Yes, you can access Stochastic Integration by Michel Metivier,J. Pellaumail, Z. W. Birnbaum,E. Lukacs in PDF and/or ePUB format, as well as other popular books in Mathematics & Probability & Statistics. We have over one million books available in our catalogue for you to explore.

Information

Publisher

Academic Press

Year

2014

ISBN

9781483218786

Topic

Mathematics

Subtopic

Probability & Statistics

Index

Mathematics

Front Cover
Stochastic Integration
Copyright Page
Table of Contents
Preface
Acknowledgments
Notation
CHAPTER 1. STOCHASTIC INTEGRAL WITH RESPECT TO π-PROCESSES
CHAPTER 2. THE ITO FORMULA
CHAPTER 3. STOCHASTIC INTEGRAL EQUATIONS
CHAPTER 4. MARTINGALES AND SEMIMARTINGALES
CHAPTER 5. STOCHASTIC MEASURES
CHAPTER 6. SPECIAL FEATURES OF INFINITE-DIMENSIONAL STOCHASTIC INTEGRATION
BIBLIOGRAPHY
INDEX